# Stylized facts of the Indian Stock Market

## TL;DR

This paper analyzes eleven years of Indian stock market data, revealing both common stylized facts and significant deviations in leverage, asymmetry, and autocorrelation, with implications for market efficiency and investment strategies.

## Contribution

It provides the first detailed analysis of stylized facts in the Indian market, highlighting key deviations from other markets and their investment implications.

## Key findings

- Leverage and asymmetry are reversed in the Indian market.
- Significant autocorrelation indicates market inefficiency.
- Increased predictive power benefits investors.

## Abstract

Historical daily data for eleven years of the fifty constituent stocks of the NIFTY index traded on the National Stock Exchange have been analyzed to check for the stylized facts in the Indian market. It is observed that while some stylized facts of other markets are also observed in Indian market, there are significant deviations in three main aspects, namely leverage, asymmetry and autocorrelation. Leverage and asymmetry are both reversed making this a more promising market to invest in. While significant autocorrelation observed in the returns points towards market inefficiency, the increased predictive power is better for investors.